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Inspired by Aumann and Serrano (2008) and Foster and Hart (2009), we propose risk-neutral options’ implied measures of riskiness and investigate their significance in predicting the cross section of expected returns per unit of risk. The empirical analyses indicate a negative and significant link between the forward looking options’ implied measures of riskiness and future stock returns. Stocks in the lowest riskiness portfolio have economically and statistically higher risk-adjusted returns than those in the highest riskiness portfolio. These results are robust to controls for market beta, size, book-to-market, momentum, short-term reversal, and liquidity of individual stocks. Controlling for the risk-neutral measure of skewness and the widely used measures of volatility and downside risk (value-at-risk and expected shortfall) does not affect the significant predictive power of riskiness. The paper also introduces alternative measures of riskiness for the aggregate stock market and shows that aggregate riskiness successfully predicts future economic downturns.